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<DIV style="RIGHT: auto" dir=ltr>----- Forwarded Message -----<BR><FONT size=2 face=Arial><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> amarjit chandhial <a.chandhial@btinternet.com><BR><B><SPAN style="FONT-WEIGHT: bold">To:</SPAN></B> "ilya.kipnis@gmail.com" <ilya.kipnis@gmail.com>; "r-sig-finance@r-project.org" <r-sig-finance@r-project.org> <BR><B><SPAN style="FONT-WEIGHT: bold">Sent:</SPAN></B> Sunday, 18 May 2014, 9:59<BR><B><SPAN style="FONT-WEIGHT: bold">Subject:</SPAN></B> [R-SIG-Finance] Fw: Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<BR></FONT></DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_44><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_49></SPAN> </DIV><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1229>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_515 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_514></SPAN> <VAR id=yiv1928179761yui-ie-cursor></VAR></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1253 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1254>Via the TIMEFILTER program, tradestats e.g. Gross.Profits are:</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_7_1400398942381_79 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_7_1400398942381_276></SPAN> </DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_876 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_783>T07:00/T20:00<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_186 class=yiv1928179761tab> </SPAN><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_820 class=yiv1928179761tab>Gross.Profits<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_264 class=yiv1928179761tab> 1571.112<VAR id=yiv1928179761yui-ie-cursor></VAR></SPAN></SPAN></SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_973 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1137><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1252 class=yiv1928179761tab><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_877 class=yiv1928179761tab><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_783>T08:00/T21:00<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_209 class=yiv1928179761tab> </SPAN><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_820 class=yiv1928179761tab>Gross.Profits<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_279 class=yiv1928179761tab> 601.9379</SPAN> </SPAN></SPAN></SPAN></SPAN></SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_2507 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_992><SPAN class=yiv1928179761tab><SPAN class=yiv1928179761tab><SPAN><SPAN class=yiv1928179761tab><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_880 class=yiv1928179761tab><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_783>T09:00/T22:00<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_232 class=yiv1928179761tab> </SPAN><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_820 class=yiv1928179761tab>Gross.Profits<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_292 class=yiv1928179761tab> 601.9379</SPAN><SPAN id=yiv1928179761yui_3_7_2_12_1400398942381_439 class=yiv1928179761tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1220 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1305><SPAN class=yiv1928179761tab><SPAN class=yiv1928179761tab><SPAN><SPAN class=yiv1928179761tab><SPAN class=yiv1928179761tab><SPAN><SPAN class=yiv1928179761tab><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_884 class=yiv1928179761tab><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_783>T10:00/T23:00<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_255 class=yiv1928179761tab> </SPAN><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_820 class=yiv1928179761tab>Gross.Profits<SPAN id=yiv1928179761yui_3_7_2_13_1400398942381_331 class=yiv1928179761tab> 783.9936</SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></SPAN></DIV></SPAN>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1231><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1230></SPAN> </DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1233 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_50></SPAN> </DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_2540 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_7_1400398942381_76></SPAN> </DIV>
<DIV id=yiv1928179761yui_3_7_2_7_1400398942381_283 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"> </DIV>
<DIV id=yiv1928179761yui_3_7_2_12_1400398942381_307 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_628>I have altered add.distribution in the TIMESPAN <VAR id=yiv1928179761yui-ie-cursor></VAR>program</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_456 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_347></SPAN> <VAR id=yiv1928179761yui-ie-cursor></VAR></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1700 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_350> add.distribution(strategy.st,</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1829 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1698><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1709 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1718 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1727 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1736 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1745 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1754 class=yiv1928179761tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>paramset.label = 'Timespan',</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_1952 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1827><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1838 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1847 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1856 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1865 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1874 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1883 class=yiv1928179761tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>component.type = 'indicator', <SPAN
id=yiv1928179761yui_3_7_2_5_1400398942381_365 class=yiv1928179761tab> </SPAN># one of c('indicator', 'signal', 'order', 'enter', 'exit', 'chain') --- have tried all of these!</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_2013 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1950><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1961 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1968 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1977 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1984 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1991 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_1998 class=yiv1928179761tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>component.label = 'timespan',</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_2144 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2011><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2022 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2031 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2040 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2049 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2058 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2069 class=yiv1928179761tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>variable = list(n = .timespans),</SPAN></DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_2143 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2142><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2153 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2160 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2167 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2174 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2181 class=yiv1928179761tab> <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2188 class=yiv1928179761tab> </SPAN></SPAN></SPAN></SPAN></SPAN></SPAN>label = 'TIMESPAN')<BR></DIV></SPAN>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_336 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2191></SPAN> </DIV>
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<DIV id=yiv1928179761yui_3_7_2_7_1400398942381_110 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"> </DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_2377 style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent"><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_2359>However, the tradestats remain only for <SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_783>T07:00/T20:00.<VAR id=yiv1928179761yui-ie-cursor></VAR></SPAN></SPAN></DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_883><SPAN id=yiv1928179761yui_3_7_2_5_1400398942381_51>Amarjit</SPAN></DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400398942381_54 dir=ltr>----- Forwarded Message -----<BR><FONT id=yiv1928179761yui_3_7_2_11_1400398942381_78 size=2 face=Arial><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> amarjit chandhial <a.chandhial@btinternet.com><BR><B><SPAN style="FONT-WEIGHT: bold">To:</SPAN></B> ""ilya.kipnis@gmail.com"" <ilya.kipnis@gmail.com>; ""r-sig-finance@r-project.org"" <r-sig-finance@r-project.org> <BR><B><SPAN style="FONT-WEIGHT: bold">Sent:</SPAN></B> Friday, 16 May 2014, 13:50<BR><B><SPAN style="FONT-WEIGHT: bold">Subject:</SPAN></B> [R-SIG-Finance] Fw: stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<BR></FONT></DIV>
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<DIV style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent">Opps, forgot the .RData strategy file for the TIMESPAN program.</DIV>
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<DIV style="FONT-SIZE: 13px; FONT-FAMILY: arial, helvetica, sans-serif; COLOR: rgb(0,0,0); FONT-STYLE: normal; BACKGROUND-COLOR: transparent">Amarjit<VAR id=yiv1928179761yui-ie-cursor></VAR></DIV>
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<DIV dir=ltr>----- Forwarded Message -----<BR><FONT size=2 face=Arial><B><SPAN style="FONT-WEIGHT: bold">From:</SPAN></B> amarjit chandhial <a.chandhial@btinternet.com><BR><B><SPAN style="FONT-WEIGHT: bold">To:</SPAN></B> "ilya.kipnis@gmail.com" <ilya.kipnis@gmail.com>; "r-sig-finance@r-project.org" <r-sig-finance@r-project.org> <BR><B><SPAN style="FONT-WEIGHT: bold">Sent:</SPAN></B> Friday, 16 May 2014, 12:53<BR><B><SPAN style="FONT-WEIGHT: bold">Subject:</SPAN></B> [R-SIG-Finance] stochastic oscillator OBOS - intraday data & optimization TIMEFILTER & TIMESPANS<BR></FONT></DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400225147213_45>Hi Ilya,</DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400225147213_78>Have returned with our stochastic oscillator OBOS strategy.</DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400225147213_416>Where we were last time was optimizing nSlowD & the OBOS thresholds. I will guess that everything was correct there, inequalities etc, if not let me know! Therefore I'll carry-on with including a timefilter to our strategy and optimizing timespans (various timefilters). As this is for demo and given only a few days of intraday data the values for nSlowD and OBOS thresholds can remain at 5, 80, & 20, respectively (ordinarily this'll be on the optimized values). I have also uncommented the short-side as we have an fx rate GBPUSD, not a stock.</DIV>
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<DIV id=yiv1928179761yui_3_7_2_6_1400225147213_887>Attached:</DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400225147213_1064>(1) Vanilla + inclusion of a timefilter, chosen arbitrarily as 'T07:00/T20:00'. This appears to be filtering correctly.</DIV>
<DIV id=yiv1928179761yui_3_7_2_5_1400225147213_2693>(2) Various timefilters i.e. timespans for optimization. Although the program runs, it does not appear to be optimizing. I am having problems with add.distribution and apply.paramset functions. Please help!</DIV>
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<DIV id=yiv1928179761yui_3_7_2_5_1400225147213_436>Amarjit <VAR id=yiv1928179761yui-ie-cursor></VAR></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV></DIV><BR>_______________________________________________<BR><A href="mailto:R-SIG-Finance@r-project.org" rel=nofollow target=_blank ymailto="mailto:R-SIG-Finance@r-project.org">R-SIG-Finance@r-project.org</A> mailing list<BR><A href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" rel=nofollow target=_blank>https://stat.ethz.ch/mailman/listinfo/r-sig-finance</A><BR>-- Subscriber-posting only. If you want to post, subscribe first.<BR>-- Also note that this is not the r-help list where general R questions should go.<BR><BR></DIV></DIV></DIV></BLOCKQUOTE></DIV></DIV></DIV><BR>_______________________________________________<BR><A href="mailto:R-SIG-Finance@r-project.org" rel=nofollow target=_blank
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